scientific article; zbMATH DE number 1538078

MaRDI QIDQ4518941zbMATH OpenFDO

Authors Alpha Sylla, Christophe Villa

Publication date 5 June 2001

zbMATH Keywords

option pricingprincipal components analysisstochastic volatilityvalue-at-riskimplied volatilityBlack-Scholes formula

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The dynamics of the S\&P 500 implied volatility surface
• Dynamics of implied volatility surfaces
• The dynamics of implied volatilities: a common principal components approach
• Semiparametric modeling of implied volatility.
• Stochastic implied volatility. A factor-based model.

Cited in

(6)

• Semiparametric modeling of implied volatility.
• The dynamics of the S\&P 500 implied volatility surface
• Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspired Evolutionary Algorithm
• Dynamics of implied volatility surfaces
• Modeling volatility risk in equity options market: a statistical approach
• The dynamics of implied volatilities: a common principal components approach

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4518941)